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EWU vs. FKU
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


EWUFKU
YTD Return8.84%11.04%
1Y Return18.54%27.84%
3Y Return (Ann)5.95%1.16%
5Y Return (Ann)5.36%4.79%
10Y Return (Ann)3.24%3.71%
Sharpe Ratio1.491.76
Sortino Ratio2.072.44
Omega Ratio1.251.30
Calmar Ratio2.411.28
Martin Ratio8.849.95
Ulcer Index2.06%2.85%
Daily Std Dev12.25%16.08%
Max Drawdown-63.99%-54.39%
Current Drawdown-6.32%-6.18%

Correlation

-0.50.00.51.00.8

The correlation between EWU and FKU is 0.77, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

EWU vs. FKU - Performance Comparison

In the year-to-date period, EWU achieves a 8.84% return, which is significantly lower than FKU's 11.04% return. Over the past 10 years, EWU has underperformed FKU with an annualized return of 3.24%, while FKU has yielded a comparatively higher 3.71% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-0.55%
5.35%
EWU
FKU

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EWU vs. FKU - Expense Ratio Comparison

EWU has a 0.50% expense ratio, which is lower than FKU's 0.80% expense ratio.


FKU
First Trust United Kingdom AlphaDEX Fund
Expense ratio chart for FKU: current value at 0.80% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.80%
Expense ratio chart for EWU: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%

Risk-Adjusted Performance

EWU vs. FKU - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI United Kingdom ETF (EWU) and First Trust United Kingdom AlphaDEX Fund (FKU). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


EWU
Sharpe ratio
The chart of Sharpe ratio for EWU, currently valued at 1.49, compared to the broader market-2.000.002.004.006.001.49
Sortino ratio
The chart of Sortino ratio for EWU, currently valued at 2.07, compared to the broader market0.005.0010.002.07
Omega ratio
The chart of Omega ratio for EWU, currently valued at 1.25, compared to the broader market1.001.502.002.503.001.25
Calmar ratio
The chart of Calmar ratio for EWU, currently valued at 2.41, compared to the broader market0.005.0010.0015.002.41
Martin ratio
The chart of Martin ratio for EWU, currently valued at 8.84, compared to the broader market0.0020.0040.0060.0080.00100.008.84
FKU
Sharpe ratio
The chart of Sharpe ratio for FKU, currently valued at 1.76, compared to the broader market-2.000.002.004.006.001.76
Sortino ratio
The chart of Sortino ratio for FKU, currently valued at 2.44, compared to the broader market0.005.0010.002.44
Omega ratio
The chart of Omega ratio for FKU, currently valued at 1.30, compared to the broader market1.001.502.002.503.001.30
Calmar ratio
The chart of Calmar ratio for FKU, currently valued at 1.28, compared to the broader market0.005.0010.0015.001.28
Martin ratio
The chart of Martin ratio for FKU, currently valued at 9.95, compared to the broader market0.0020.0040.0060.0080.00100.009.95

EWU vs. FKU - Sharpe Ratio Comparison

The current EWU Sharpe Ratio is 1.49, which is comparable to the FKU Sharpe Ratio of 1.76. The chart below compares the historical Sharpe Ratios of EWU and FKU, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.49
1.76
EWU
FKU

Dividends

EWU vs. FKU - Dividend Comparison

EWU's dividend yield for the trailing twelve months is around 4.05%, more than FKU's 3.64% yield.


TTM20232022202120202019201820172016201520142013
EWU
iShares MSCI United Kingdom ETF
4.05%4.14%3.42%4.35%2.48%4.13%4.98%3.91%3.97%4.11%7.59%2.39%
FKU
First Trust United Kingdom AlphaDEX Fund
3.64%3.83%5.55%2.98%1.48%3.35%5.12%2.93%2.60%2.64%3.28%2.28%

Drawdowns

EWU vs. FKU - Drawdown Comparison

The maximum EWU drawdown since its inception was -63.99%, which is greater than FKU's maximum drawdown of -54.39%. Use the drawdown chart below to compare losses from any high point for EWU and FKU. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-6.32%
-6.18%
EWU
FKU

Volatility

EWU vs. FKU - Volatility Comparison

The current volatility for iShares MSCI United Kingdom ETF (EWU) is 3.65%, while First Trust United Kingdom AlphaDEX Fund (FKU) has a volatility of 4.63%. This indicates that EWU experiences smaller price fluctuations and is considered to be less risky than FKU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.65%
4.63%
EWU
FKU